Launched High Frequency Automated Trading Blackbox
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Soo... where we going with this? C++ on Linux is a good way to go? I want a bare bones trading machine, just gets data and works a FIX or the IB API. All the stuff exists for backtesting and charts, etc., already and that can all run on windows as far as I am concerned but my thinking regarding security is that Linux is better...
That's believed by many people, yes.
I'm not a security expert, but if you use a good antivirus, a good (possibly external) firewall, a few good rules (use your computer with a non administrator account, block as many ports as you can, don't open the attachments, don't install applications you don't know, etc), I think you'll be fine with Windows (I can't believe I can be that honest sometimes). If you want to do more complex stuff, like a web server, you should consider linux.
Concerning the language, that depends on your needs. If you need speed I would go with C++. If you don't need it then look at what is better for you. For example, look at the languages supported by the tools you use.
C# is an excellent language. If you want to use it, by all means go ahead. You lose some portability, but it doesn't seem to be a problem for you.
Opinions about languages are very different, but I would just think twice before considering other languages besides C++,C# and Java.
Security ?¿!!
Good reason to go with linux.
If you get lucky and you are good coder which i doubt you will spend the next 5 years patch working 10 differrent components and then wake up one day and realise you not only didnt get any further in your trading skills, you wasted 5 years of your youth on something you can get right now for a monthly fee. But hey, you can always say it was a "good experince".
With C# your pretty much locked into Windows, Sorry Nitro but most trading systems today are developed in Java and C++ running on UNIX systems mostly Linux on and X64.
I know your a pretty smart guy but this is the craziest thing I've read from you on ET.
With the GNU C/C++ compiler and the opensource FIX engine - Quickfixengine you can be up and running with little or no time iwth minimal cost.
i respect your point. the whole thread is quite interesting
for me, since we are trading completely mechanical, but
from 5min data as the lowest in granularity. i thought
that below that we need to invest about one man-year
in pure IT. connectivity. data. robustness. all the things
you are talking about here. i still think that we have
additional sharpe in nearer reach ...
we are testing on everything at hand, from tradesignal
to excel sheets and R. but when it comes to trading we
run C++ on a mac (unix based for couple of years now).
the problem with language is that it becomes
more and more expensive (in terms of time) to move.
so that decision is pretty important for ... everything
else. on 5min data we naturally don't suffer any performance
problem. this is not a millisecond game. if we move to
below 5min i think we would attempt to go level II
immediately. but that is quite an animal ... and i KNOW
there will be issues i cannot even imagine now.
I see others have diversified away from windows. I'm still debating what is most secure. I can have income from manual trading while I'm working all this stuff out, no pressure on me at all. Security questions are making me crazy however. I wonder if a linux box set up as a firewall is better than a commercial hardware firewall really. What if the linux box can be hacked easier than a commercial box that runs with unchangeable firmware code?? Why not just stay with windows, add a hardware firewall with great logging capability, like a Sonicwall or much pricier Cisco, and run a software firewall too, also with great logging capability.. if they get past the hardware one your logs should alert you and maybe before they get past the software one??
Keeping the rogue programmer inside the broker's firewall from stealing intellectual property is another can of worms.. the brokers are said to have "pinhole" firewalls where nothing gets through but things that conform to a "form". Makes sense to me. If a rogue coder can get past all that in two directions maybe nothing can stop him/her?? One friend said I could put watermarks of some sort in my code and if I detected theft I could work with the brokerage IT department to find out where the files are... seems like a big pain and it might be hard to get the brokerage motivated to look for it...
Keeping the rogue programmer inside the broker's firewall from stealing intellectual property is another can of worms.. the brokers are said to have "pinhole" firewalls where nothing gets through but things that conform to a "form". Makes sense to me. If a rogue coder can get past all that in two directions maybe nothing can stop him/her?? One friend said I could put watermarks of some sort in my code and if I detected theft I could work with the brokerage IT department to find out where the files are... seems like a big pain and it might be hard to get the brokerage motivated to look for it...